Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1163 |
| Annualized Std Dev | 0.2279 |
| Annualized Sharpe (Rf=0%) | 0.5102 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3743.0000 |
| NAs | 1.0000 |
| Minimum | -0.1509 |
| Quartile 1 | -0.0060 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0076 |
| Maximum | 0.1483 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0002 |
| Stdev | 0.0144 |
| Skewness | -0.4617 |
| Kurtosis | 12.5017 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0105 |
| Gain Deviation | 0.0098 |
| Loss Deviation | 0.0115 |
| Downside Deviation (MAR=210%) | 0.0149 |
| Downside Deviation (Rf=0%) | 0.0103 |
| Downside Deviation (0%) | 0.0103 |
| Maximum Drawdown | 0.5882 |
| Historical VaR (95%) | -0.0205 |
| Historical ES (95%) | -0.0341 |
| Modified VaR (95%) | -0.0213 |
| Modified ES (95%) | -0.0387 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-27 | 2008-11-20 | 2011-04-28 | -0.5882 | 841 | 229 | 612 |
| 2020-02-20 | 2020-03-23 | 2020-10-09 | -0.3523 | 163 | 23 | 140 |
| 2011-05-20 | 2011-10-03 | 2012-04-02 | -0.2725 | 219 | 94 | 125 |
| 2015-06-26 | 2016-02-08 | 2017-06-14 | -0.2643 | 496 | 156 | 340 |
| 2018-12-04 | 2019-04-17 | 2020-01-08 | -0.2513 | 275 | 92 | 183 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | 2.5 | 0.7 | -0.2 | -0.3 | 0 | -1.6 | -0.1 | -0.2 | 0.8 |
| 2007 | 0.8 | 0.1 | 0.1 | -0.7 | 0.5 | -0.9 | -0.4 | 0.7 | 0.1 | -1 | -0.1 | -0.3 | -1.2 |
| 2008 | 0.5 | -3 | 4.1 | 0.2 | -0.4 | -0.8 | -0.1 | -0.6 | -0.4 | 3.4 | -7.1 | 0.1 | -4.7 |
| 2009 | -2.2 | -2.6 | 0 | -0.4 | 2.8 | 0.8 | -0.6 | -1.8 | -1.6 | -2.3 | 1.3 | -1.5 | -7.9 |
| 2010 | 0.7 | 1.1 | 0.9 | -3.4 | -1.4 | -2 | 1.2 | 2.9 | -0.2 | -0.3 | 2.2 | 0 | 1.6 |
| 2011 | 1.5 | -0.6 | 1.1 | -0.3 | -1.3 | 1.7 | -3.6 | -1 | -1.5 | -2.5 | -0.3 | -0.3 | -7 |
| 2012 | 2.3 | 0.2 | 1 | 1.2 | -2.2 | 0.4 | 0 | 0 | 0.8 | 2.3 | 0.1 | 1.4 | 7.7 |
| 2013 | 1.1 | 0.3 | 1.3 | -0.4 | -1.8 | 0.6 | 0.3 | -0.9 | 1.5 | -0.2 | 0.1 | 0.5 | 2.4 |
| 2014 | -0.5 | 0.8 | 0.7 | 0.3 | -0.2 | 0.7 | 0.2 | 0.6 | -1.6 | 1.8 | -0.3 | -1.3 | 1.2 |
| 2015 | -2 | 0.2 | -0.8 | 0.5 | 0.2 | 0.7 | 0.7 | -2.6 | -0.2 | -0.7 | 2.4 | -0.8 | -2.5 |
| 2016 | 0.8 | 1.6 | 0.8 | -1.3 | 0.8 | -0.2 | -1.1 | -0.7 | 0.9 | -1.9 | 0.7 | -0.5 | 0 |
| 2017 | 1 | 0.9 | -0.3 | 0.6 | 2.2 | 0.2 | -0.4 | 0.2 | 0.4 | -1.1 | -0.7 | -0.6 | 2.4 |
| 2018 | -0.6 | -1 | 0.4 | 0.5 | 0.5 | -0.5 | 0.2 | 0.6 | 0.2 | 0.8 | -0.1 | 1 | 2.1 |
| 2019 | -0.2 | 1.5 | 0.4 | -0.2 | -0.3 | -0.2 | -0.7 | 0.7 | -1 | 0.8 | -0.4 | 0.2 | 0.5 |
| 2020 | -2.4 | -0.9 | -4.7 | -2.9 | -0.1 | 0.9 | -1.2 | -0.5 | 0.1 | -0.2 | 0.7 | 1.1 | -9.9 |
| 2021 | 0.7 | 1.6 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.8 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
